fourth: Fourth-order moment condition for the vector GARCH equation
Description
This function computes the fourth-order moment condition for the vector GARCH equation
in the (E)CCC-GARCH models.
Usage
fourth(A, B, R)
Arguments
A
an ARCH parameter matrix $(N \times N)$
B
a GARCH parameter matrix $(N \times N)$
R
a constant conditional correlation matrix $(N \times N)$
Value
a scalar. If strictly less than unity, the condition is satisfied.
References
He, C. and T. Ter"asvirta (2004):
An Extended Constant Conditional Correlation GARCH model and its Fourth-moment Structure,
Econometric Theory, 20, 904--926.
Nakatani, T. and T. Ter"asvirta (2009),
Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model,
Econometrics Journal, 12, 147--163.
Nakatani, T. and T. Ter"asvirta (2008),
Appendix to Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model
Department of Economic Statistics, Stockholm School of Economics,
available at http://swopec.hhs.se/hastef/abs/hastef0649.htm.